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The home equity loan securitisation sector makes up the biggest portion of the US asset-backed securities market. Recent events have also made it the most topical. The crisis in subprime mortgages, where foreclosures are rising and several lenders have gone bankrupt, has seen investors scrambling to hedge their positions and take directional views.

Before the launch of the ABX index in January 2006, this would have been difficult: the ABS market was a cash market and there was no vehicle for

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